Ubuntu 11.x ships with a 'Window Manager' named "Unity". It replaces Gnome as the default desktop in Ubuntu.
There is a confirmed issue with mouse operations as well as navigation keys operations (TAB, BACKSPACE etc.) for Windows programs running under Wine 1.3 with the Unity desktop. Several programs are affected - and also SQLyog unfortunately is. The official Ubunty bug report is here.
If you are affected - and it may depend of several factors like graphics hardware etc. - we recommend that you try to replace Wine 1.3 with version 1.2. It has worked in all cases that we know about.
Note that the information in this FAQ could soon be outdated. Unity is in an early state of development and Wine is changing as well (and quite a rapidly as of time of writing - October 2011). A proper and final solution could be found soon with an update to Unity and/or Wine. But also you may experience that what used to work suddenly does not after an upgrade of either. So you should be prepared that you may need to roll back updates (automatic or not) if you use Windows program with Ubuntu 11.x/Unity/Wine.